arch.univariate.base.ARCHModelFixedResult.conditional_volatility

property ARCHModelFixedResult.conditional_volatility[source]

Estimated conditional volatility

Returns

conditional_volatility – nobs element array containing the conditional volatility (square root of conditional variance). The values are aligned with the input data so that the value in the t-th position is the variance of t-th error, which is computed using time-(t-1) information.

Return type

{ndarray, Series}